Add to ORKGAbstract. Building on the work of Schweizer (1995) and Černy ́ and Kallsen (2007), we present discrete time formulas minimizing the mean square hedging error for multidimensional assets. In particular, we give explicit formulas when a regime-switching random walk or a GARCH-type process is utilized to model the returns. Monte Carlo simulations are used to compare the optimal and delta hedging methods. Hedging, option pricing, GARCH, regime-switching 1
We explicitly compute closed formulas for the minimal variance hedging strategy in discrete time of ...
In this paper we consider the mean-variance hedging problem of a continuous state space financial mo...
We hedge European and Barrier options in a discrete time and discrete space setting by uwing stochas...
Cette prépublication apparaît aussi sur SSRN et les cahiers du GERAD.International audienceBuilding ...
We develop a flexible discrete-time hedging methodology that minimizes the expected value of any des...
We present a closed form solution for the optimal hedging strategy, in discrete time, of an option w...
We propose a new methodology for discrete time dynamic hedging with transaction costs that has three...
We solve the problem of approximating in L"2 a given random variable H by stochastic integrals ...
Techniques in stochastic analysis are presented in a continuous time framework.We then review method...
Abstract: We solve the problem of approximating in L2 a given random variable H by stochastic integr...
The problem studied is that of hedging a portfolio of options in discrete time where underlying secu...
Abstract. We study the problems of efficient hedging of game (Israeli) options when the initial capi...
The problem studied is that of hedging a portfolio of options in discrete time where underlying secu...
We consider the delta-hedging strategy for a vanilla option under the discrete hedg-ing and transact...
Discrete time hedging produces a residual risk, namely, the tracking error. The major problem is to ...
We explicitly compute closed formulas for the minimal variance hedging strategy in discrete time of ...
In this paper we consider the mean-variance hedging problem of a continuous state space financial mo...
We hedge European and Barrier options in a discrete time and discrete space setting by uwing stochas...
Cette prépublication apparaît aussi sur SSRN et les cahiers du GERAD.International audienceBuilding ...
We develop a flexible discrete-time hedging methodology that minimizes the expected value of any des...
We present a closed form solution for the optimal hedging strategy, in discrete time, of an option w...
We propose a new methodology for discrete time dynamic hedging with transaction costs that has three...
We solve the problem of approximating in L"2 a given random variable H by stochastic integrals ...
Techniques in stochastic analysis are presented in a continuous time framework.We then review method...
Abstract: We solve the problem of approximating in L2 a given random variable H by stochastic integr...
The problem studied is that of hedging a portfolio of options in discrete time where underlying secu...
Abstract. We study the problems of efficient hedging of game (Israeli) options when the initial capi...
The problem studied is that of hedging a portfolio of options in discrete time where underlying secu...
We consider the delta-hedging strategy for a vanilla option under the discrete hedg-ing and transact...
Discrete time hedging produces a residual risk, namely, the tracking error. The major problem is to ...
We explicitly compute closed formulas for the minimal variance hedging strategy in discrete time of ...
In this paper we consider the mean-variance hedging problem of a continuous state space financial mo...
We hedge European and Barrier options in a discrete time and discrete space setting by uwing stochas...